By Wendy Van Sickle
Columbus, Ohio, Aug. 14 – JPMorgan Chase Financial Co. LLC priced $2.58 million of contingent income autocallable securities due Feb. 13, 2020 linked to the worst performing of the Euro Stoxx Banks index, the Russell 2000 index and the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes are guaranteed by JPMorgan Chase & Co.
Each quarter, the notes pay a contingent coupon at an annual rate of 10.75% if each index closes at or above its downside threshold level, 70% of its initial level, on the determination date for that quarter.
The notes will be automatically called at par if each index closes at or above its initial level on any quarterly determination date other than the final one.
The payout at maturity will be par unless the final level of any index is less than its downside threshold level, 70% of its initial level, in which case investors will be fully exposed to the decline of the worst-performing index.
J.P. Morgan Securities LLC is the agent. Distribution is through Morgan Stanley Smith Barney LLC.
| Issuer: | JPMorgan Chase Financial Co. LLC
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| Guarantor: | JPMorgan Chase & Co.
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| Issue: | Contingent income autocallable securities
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| Underlying indexes: | Euro Stoxx Banks, Russell 2000 and S&P 500
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| Amount: | $2.58 million
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| Maturity: | Feb. 13, 2020
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| Coupon: | Each quarter, notes pay contingent coupon at an annual rate of 10.75% if each index closes at or above downside threshold level on determination date for that quarter
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| Price: | Par
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| Payout at maturity: | If each index finishes at or above downside threshold level, par; if final level of any index is less than downside threshold level, full exposure to decline of worst-performing index
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| Call: | Automatically at par if each index closes at or above its initial level on any quarterly determination date other than final one
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| Initial index levels: | 1,410.151 for Russell 2000, 2,474.92 for S&P 500 and 139.91 for Euro Stoxx Banks
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| Downside thresholds: | 987.1057 for Russell 2000, 1,732.444 for S&P 500 and 97.937 for Euro Stoxx Banks, or 70% of initial levels
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| Pricing date: | Aug. 8
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| Settlement date: | Aug. 11
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| Agent: | J.P. Morgan Securities LLC
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| Distribution: | Morgan Stanley Smith Barney LLC
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| Fees: | 2.5%
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| Cusip: | 46647MK77
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